WSEAS Transactions on Business and Economics
Print ISSN: 1109-9526, E-ISSN: 2224-2899
Volume 12, 2015
The Relationship Between Oil and Corn Prices: Break-Time Versus Regime-Switching Analysis
Authors: , ,
Abstract: The objective of this work is to study the long-run relationship between corn and oil prices. It is based on the study of Elmarzougui and Larue [6], who studied the breaks in the regimes of these products. However, our research not only uses more data but also analyzes temporal breaks according to Markov regimes of Cointegration and breaks along the period. Both approaches identified a stable relation between prices due to the stationarity of the error; however, the Markov approach showed greater accuracy in the short-run, which represents a gain of information in this model.